African Journal of
Business Management

  • Abbreviation: Afr. J. Bus. Manage.
  • Language: English
  • ISSN: 1993-8233
  • DOI: 10.5897/AJBM
  • Start Year: 2007
  • Published Articles: 4203

Full Length Research Paper

Volatility behaviour of BRIC capital markets in the 2008 international financial crisis

Tabajara Pimenta Junior*
  • Tabajara Pimenta Junior*
  • Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto – FEA-RP Universidade de São Paulo–USP. Brazil.
  • Google Scholar
Fabiano Guasti Lima
  • Fabiano Guasti Lima
  • Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto – FEA-RP Universidade de São Paulo–USP. Brazil.
  • Google Scholar
Luiz Eduardo Gaio
  • Luiz Eduardo Gaio
  • Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto – FEA-RP Universidade de São Paulo–USP. Brazil.
  • Google Scholar


  •  Received: 23 July 2013
  •  Accepted: 13 May 2014
  •  Published: 14 June 2014

References

Aitken B (1996). Have institutional investors destabilized emerging markets? Working Paper n. 96/34. Washington, DC: International Monetary Fund – IMF.
 
Alper CE, Fendoglu S, Saltoglu BM (2009). Volatility forecast performance under market stress: evidence from emerging and developed stock markets. Working Paper 04/2009. Turkey: Bogazici University, Department of Economics.
 
Badhani KN (2009). Response asymmetry in return and volatility spillover from the US to Indian stock market. IUP J. Appl. Financ. 15(9):22-45.
 
Bekaert G, Harvey CR (1997). Emerging equity market volatility. J. Financ. Econ. 43:29-77
Crossref
 
Bekaert G, Wu G (2000). Asymmetric volatility and risk in equity markets. Rev. Financ. Stud. 13:1-42
Crossref
 
Berry DB, Howe KM (1994). Public information arrival. J. Financ. 49(4):1331-1346.
Crossref
 
Black F (1976). Studies of stock prices volatility changes. Proc. Bus. Econ. Stat. pp.177-181.
 
Campbell JY, Hentschel L (1992). No news is good news: an asymmetric model of changing volatility in stock returns. J. Financ. Econ. 31(3):281-318.
Crossref
 
Chang CY (2009). The volatility's asymmetrical reaction to serial correlation: evidences from America e Taiwan cases. Int. Res. J. Financ. Econ. 28:98-103
 
Chiang TC, Doong SC (2001). Empirical analysis of stock returns and volatility: evidence from seven asian stock markets based on TAR-GARCH model. Rev. Quant. Financ. Account. 17:301-318.
Crossref
 
Christie A (1982). The stochastic behaviour of common stock variance: value, leverage and interest rate effects. J. Financ. Econ. 10(4):407-432.
Crossref
 
Chukwuogor C, Feridun M (2007). Recent emerging and developed European stock markets volatility of returns. Eur. J. Financ. Bank. Res. 1(1).
 
Daouk H (2001). Two essays on the response of volatility to returns. Indiana University 192p.
 
Erb CB, Harvey CR, Viskanta TE (1994). Forecasting international equity correlations. Financ. Anal. J. 50:32-45.
Crossref
 
Fletcher J (2000). On the conditional relationship between beta and return in international stock returns. Int. Rev. Financ. Anal. 9:235-245.
Crossref
 
French KR, Schwert GW, Stambaugh RF (1987). Expected stock returns and volatility. J. Financ. Econ. 19:3-30.
Crossref
 
Gennotte G, Leland H (1990). Market liquidity, hedging, and crashes. Am. Econ. Rev. 80(5):999-1021.
 
Gervais S, Odean T (2001). Learning to be overconfident. Rev. Financ. Stud. 14:1-28.
Crossref
 
Glosten L, Jagannathan R, Runkle D (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. J. Financ. 68(5):1779-1801
Crossref
 
Grossman SJ (1988). An analysis of the implications for stock and futures price volatility of program trading and dynamic hedging strategies. J. Bus. 61(3):275-298.
Crossref
 
Harvey CR (1995). Predictable risk and returns in emerging markets. Rev. Financ. Stud. pp.773-816.
Crossref
 
Hong H, Stein JC (1999). A unified theory of underreaction, momentum trading and overreaction in asset markets. J. Financ. 54:2143-2184.
Crossref
 
Jacklin CJ, Kleidon AW, Pfleiderer P (1992). Underestimation of portfolio insurance and the crash of october 1987. Rev. Financ. Stud. 5(1):35-63.
Crossref
 
Johnson WC, Westberg JM (2004). The effect of news on volatility: a study of IPOs. Working Paper. Michigan State University.
 
Odier P, Solnik B (1993). Lessons for international asset allocation. Financ. Anal. J. 49:63-77
Crossref
 
Park JW (2010). Comovement of Asian stock Markets and the U.S. influence. Global Econ. Financ. J. 3(2):76-88.
 
Pettengil G, Sundaram S, Mathur I (1995). The conditional relation between beta and return. J. Financ. Quant. Anal. 30:101-116.
Crossref
 
Pindyck RS (1984). Risk, inflation, and the stock market. Am. Econ. Rev. 74(3):334-351.
 
Romer D (1993). Rational asset-price movements without news. Am. Econ. Rev. 83(5):1112-1130.
 
Schwert W (1989). Why does stock market volatility change over time? J. Financ. 44:1115-1153
Crossref
 
Shamsuddin AF (2008). Asymmetric volatility in emerging south asian equity markets. Working Paper. University of New Castle, Australia.
 
Shields KK (1997). Stock return volatility on emerging eastern european markets. The Manchester School Supplement pp.118-138.
Crossref
 
Shin J (2005). Stock returns and volatility in emerging stock markets. Int. J. Bus. Econ. 4(1):31-43.
 
Singh P, Kumar B, Pandey A (2008). Price and volatility spillovers across north-american, european and asian stock markets: with special focus on Indian stock market. Working Paper, n. 20081204. Indian Institute of Management.
 
Venetis IA, Peel D (2005). Non-linearity in stock index returns: the volatility and serial correlation relationship. Econ. Modelling 22:1-19.
Crossref
 
Verma R, Verma P (2005). Do emerging equity market respond symmetrically to US market upturns and downturns? Evidence from Latin America. Int. J. Bus. Econ. 4(3):193-208.